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Volumn 42, Issue 3, 2000, Pages 259-279
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A barrier option of American type
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Author keywords
American option; Barrier option; Constrained portfolios; Elastic boundary condition; Hedging; Optimal stopping; Singular stochastic control; Variational inequality
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Indexed keywords
BOUNDARY CONDITIONS;
OPTIMIZATION;
PROBLEM SOLVING;
STATISTICAL METHODS;
VARIATIONAL TECHNIQUES;
AMERICAN PUT-OPTIONS;
BARRIER OPTIONS;
OPTIMAL STOPPING;
VARIATIONAL INEQUALITY;
RANDOM PROCESSES;
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EID: 0034318222
PISSN: 00954616
EISSN: None
Source Type: Journal
DOI: 10.1007/s002450010013 Document Type: Article |
Times cited : (40)
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References (10)
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